Polynomial Chaos Expansion of Random Coefficients and the Solution of Stochastic Partial Differential Equations in the Tensor Train Format

DOI10.1137/140972536zbMath1329.65271arXiv1503.03210OpenAlexW1939142429WikidataQ57524769 ScholiaQ57524769MaRDI QIDQ3452537

Boris N. Khoromskij, Hermann G. Matthies, Alexander Litvinenko, Sergey V. Dolgov

Publication date: 12 November 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.03210

zbMATH Keywords

uncertainty quantificationadaptive cross approximationpolynomial chaos expansionKarhunen-Loève expansiontensor train formatstochastic Galerkintensor product methodsblock cross

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Flows in porous media; filtration; seepage (76S05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite element methods applied to problems in fluid mechanics (76M10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Multilinear algebra, tensor calculus (15A69)

Related Items (33)

Adaptive stochastic Galerkin FEM with hierarchical tensor representations ⋮ Rank Bounds for Approximating Gaussian Densities in the Tensor-Train Format ⋮ Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability ⋮ Multilevel tensor approximation of PDEs with random data ⋮ Adaptive Nonintrusive Reconstruction of Solutions to High-Dimensional Parametric PDEs ⋮ State estimation in nonlinear parametric time dependent systems using tensor train ⋮ Recompression of Hadamard Products of Tensors in Tucker Format ⋮ Least Squares Approximation of Polynomial Chaos Expansions With Optimized Grid Points ⋮ Polynomial-chaos-based conditional statistics for probabilistic learning with heterogeneous data applied to atomic collisions of helium on graphite substrate ⋮ An Adaptive Stochastic Galerkin Tensor Train Discretization for Randomly Perturbed Domains ⋮ Parallel cross interpolation for high-precision calculation of high-dimensional integrals ⋮ Sampling of Bayesian posteriors with a non-Gaussian probabilistic learning on manifolds from a small dataset ⋮ Sampling-free Bayesian inversion with adaptive hierarchical tensor representations ⋮ Geometric Methods on Low-Rank Matrix and Tensor Manifolds ⋮ Two-Level a Posteriori Error Estimation for Adaptive Multilevel Stochastic Galerkin Finite Element Method ⋮ Reduced model of macro-scale stochastic plasticity identification by Bayesian inference: application to quasi-brittle failure of concrete ⋮ Tensor Algorithms for Advanced Sensitivity Metrics ⋮ Prospects of tensor-based numerical modeling of the collective electrostatics in many-particle systems ⋮ A Low-Rank Solver for the Navier--Stokes Equations with Uncertain Viscosity ⋮ Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices ⋮ Convergence of adaptive stochastic collocation with finite elements ⋮ Spectral Tensor-Train Decomposition ⋮ Stochastic discontinuous Galerkin methods with low-rank solvers for convection diffusion equations ⋮ Acceleration of uncertainty propagation through Lagrange multipliers in partitioned stochastic method ⋮ A Hybrid Alternating Least Squares--TT-Cross Algorithm for Parametric PDEs ⋮ Non-intrusive tensor reconstruction for high-dimensional random PDEs ⋮ Tucker tensor analysis of Matérn functions in spatial statistics ⋮ Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations ⋮ Iterative algorithms for the post-processing of high-dimensional data ⋮ A comparison of approaches for the construction of reduced basis for stochastic Galerkin matrix equations. ⋮ Propagation of uncertainties in density-driven flow ⋮ To Be or Not to be Intrusive? The Solution of Parametric and Stochastic Equations---Proper Generalized Decomposition ⋮ Quantification of Airfoil Geometry-Induced Aerodynamic Uncertainties---Comparison of Approaches

Uses Software

• LOBPCG
• ALEA
• TT Toolbox
• SGLib
• GitHub

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tensor-Train Decomposition
• TT-cross approximation for multidimensional arrays
• Computation of extreme eigenvalues in higher dimensions using block tensor train format
• Efficient low-rank approximation of the stochastic Galerkin matrix in tensor formats
• Proper generalized decompositions and separated representations for the numerical solution of high dimensional stochastic problems
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Solving stochastic systems with low-rank tensor compression
• Adaptive stochastic Galerkin FEM
• Breaking the curse of dimensionality in sparse polynomial approximation of parametric PDEs
• Kriging and spatial design accelerated by orders of magnitude: combining low-rank covariance approximations with FFT-techniques
• Grid-based lattice summation of electrostatic potentials by assembled rank-structured tensor approximation
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• The density-matrix renormalization group in the age of matrix product states
• Adaptive cross approximation of multivariate functions
• \(O(d \log N)\)-quantics approximation of \(N\)-\(d\) tensors in high-dimensional numerical modeling
• Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations
• Sparse high order FEM for elliptic sPDEs
• Application of hierarchical matrices for computing the Karhunen-Loève expansion
• A generalized spectral decomposition technique to solve a class of linear stochastic partial differential equations
• Finitely correlated states on quantum spin chains
• Approximation of boundary element matrices
• Black box approximation of tensors in hierarchical Tucker format
• Quasioptimality of maximum-volume cross interpolation of tensors
• Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
• Quantics-TT collocation approximation of parameter-dependent and stochastic elliptic PDEs
• Non-intrusive low-rank separated approximation of high-dimensional stochastic models
• Karhunen-Loève approximation of random fields by generalized fast multipole methods
• An Adaptive Sparse Grid Algorithm for Elliptic PDEs with Lognormal Diffusion Coefficient
• Analytic Regularity and GPC Approximation for Control Problems Constrained by Linear Parametric Elliptic and Parabolic PDEs
• A literature survey of low-rank tensor approximation techniques
• Efficient Iterative Solvers for Stochastic Galerkin Discretizations of Log-Transformed Random Diffusion Problems
• Alternating Minimal Energy Methods for Linear Systems in Higher Dimensions
• Stochastic Spectral Galerkin and Collocation Methods for PDEs with Random Coefficients: A Numerical Comparison
• Stochastic Galerkin Matrices
• Approximating Infinity-Dimensional Stochastic Darcy's Equations without Uniform Ellipticity
• A Kronecker Product Preconditioner for Stochastic Galerkin Finite Element Discretizations
• QTT approximation of elliptic solution operators in higher dimensions
• Tensor-Structured Galerkin Approximation of Parametric and Stochastic Elliptic PDEs
• Parametric and Uncertainty Computations with Tensor Product Representations
• Breaking the Curse of Dimensionality, Or How to Use SVD in Many Dimensions
• Low-Rank Tensor Krylov Subspace Methods for Parametrized Linear Systems
• Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients
• Hierarchical Tensor Approximation of Output Quantities of Parameter-Dependent PDEs
• Spectral Methods for Uncertainty Quantification
• A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
• Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• To Be or Not to Be Intrusive? The Solution of Parametric and Stochastic Equations---the “Plain Vanilla” Galerkin Case
• Sparse grids
• STOCHASTIC GALERKIN DISCRETIZATION OF THE LOG-NORMAL ISOTROPIC DIFFUSION PROBLEM
• Preconditioned Low-Rank Methods for High-Dimensional Elliptic PDE Eigenvalue Problems
• Algorithms for Numerical Analysis in High Dimensions
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

This page was built for publication: Polynomial Chaos Expansion of Random Coefficients and the Solution of Stochastic Partial Differential Equations in the Tensor Train Format